Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints

DOI10.1137/15M1025256zbMath1351.60048arXiv1506.04063OpenAlexW2963644125MaRDI QIDQ2818217

Xiaolu Tan, Nizar Touzi, Gaoyue Guo

Publication date: 6 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.04063

zbMATH Keywords

Brownian motionstopping timeconvex dualityrobust hedgingSkorokhod embeddingmartingale optimal transportmodel-free pricing

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15)

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